Extraction with supercritical fluids arises in the last three decades as a promising alternative to conventional analytical methods for lipid extraction, and currently has consolidated its application in extraction processes of raw materials of animal and plant origin. Its advantages over conventional techniques are many and well known, but this technology stands out mainly by environmental factors and quality of products. This article reviews the aspects related to the use of supercritical CO2 for extraction and fractionation of lipids, with special emphasis in triacylglycerols and fatty acids, and summarizes the published literature with the use of SFE to obtain fats and oils with particular interest in the application of the extracts in food products. In this context, marine animals and oilseeds are the most studied raw materials for lipid extraction. A brief review on the separation procedures involving supercritical technology, as supercritical fluid chromatography, is also presented, dealing with separation methods as analytical techniques, or even as fractionation and purification tools. As shown in this paper, natural sources of lipids are abundant and diverse, supercritical CO2 has large potential to be a viable method to extract and purify those substances.